A Flexible and Efficient Algorithm for Regularized Fisher Discriminant Analysis

Abstract

Fisher linear discriminant analysis (LDA) and its kernel extension—kernel discriminant analysis (KDA)—are well known methods that consider dimensionality reduction and classification jointly. While widely deployed in practical problems, there are still unresolved issues surrounding their efficient implementation and their relationship with least mean squared error procedures. In this paper we address these issues within the framework of regularized estimation. Our approach leads to a flexible and efficient implementation of LDA as well as KDA. We also uncover a general relationship between regularized discriminant analysis and ridge regression. This relationship yields variations on conventional LDA based on the pseudoinverse and a direct equivalence to an ordinary least squares estimator. Experimental results on a collection of benchmark data sets demonstrate the effectiveness of our approach.KeywordsDiscriminant AnalysisLinear Discriminant AnalRidge RegressionScatter MatrixGeneralize Singular Value DecompositionThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.